Hello, Harish.
Let's start off by checking the helpful steps in this article: Download items from the web using Safari on Mac - Apple Support. Please keep in mind that depending on which service you are using (like Facebook, YouTube, Netflix, others) with Safari, their policies may or may not allow you to download a video they stream for you to view. For specific questions about which videos you can download, we advise reaching out to the developer directly for further assistance.
Let us know if we can help with anything else at all or if this doesn't settle your issue. Thanks and have a fabulous day!